Abstract
We establish a martingale representation formula for functional of diffusion processes with Lipschitz coefficients, as stochastic integrals with respect to the Brownian motion.
| Original language | English |
|---|---|
| Pages (from-to) | 357-370 |
| Number of pages | 14 |
| Journal | Journal of Applied Mathematics and Stochastic Analysis |
| Volume | 15 |
| Issue number | 4 |
| DOIs | |
| State | Published - 2003 |
| Externally published | Yes |
Bibliographical note
Funding Information:This study was funded by the University of Ottawa International Research Acceleration Program (2016–2018) and Gaoyuan Nursing Grant Support of Shanghai Municipal Education ( Hlgy1801gj ). None of these funders had a role in study design, data collection and analysis, publication decisions, or preparation of the manuscripts.
Keywords
- Haussmann-Clark-Ocone Formula
- Stochastic Differential Equation
- Stochastic Integral
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics
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